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Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
16 references·0 citing·35 second hop
Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time (1997)Survival and Growth with a Liability: Opt…Portfolio choice and the Bayesian Kelly criterion (1996)Portfolio choice and the Baye…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Linear models of economic survival under production uncertainty (1991)Linear models of economic sur…Continuous-Time Finance. (1991)Continuous-Time Finance.Continuous-Time Finance. (1991)Continuous-Time Finance.Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Reaching Zero Rapidly (1987)Reaching Zero RapidlyMinimizing or Maximizing the Expected Time to Reach Zero (1987)Minimizing or Maximizing the …A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Continuous-Time Red and Black: How to Control a Diffusion to a Goal (1985)Continuous-Time Red and Black…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesPortfolio selection with transactions costs (1976)Portfolio selection with tran…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Brownian Motion and Stochastic Flow Systems. (1987)Equilibrium Analysis of Portfolio Insurance (1996)Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Risk Aversion in the Small and in the Large (1976)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Periodic market closure and trading volume (1992)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Stock Market Crashes, Precursors and Replicas (1996)Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2006)Applications of Statistical Mechanics (2014)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1991Continuous-Time Finance.647 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 1996Portfolio choice and the Bayesian Kelly criterion123 cited
  • 1985Continuous-Time Red and Black: How to Control a Diffusion to a Goal93 cited
  • 1991Linear models of economic survival under production uncertainty83 cited
  • 1987Minimizing or Maximizing the Expected Time to Reach Zero66 cited
  • 1987

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Reaching Zero Rapidly
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